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Barsky, Robert B. - 2009

We implement a new approach for the identification of news shocks about future technology. In a VAR featuring a measure of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to technology innovations that best explains future variation...

Persistent link: https://www.econbiz.de/10013156463

The Macroeconomic Announcement Premium

Wachter, Jessica - 2018

Empirical studies demonstrate striking patterns in stock market returns in relation to scheduled macroeconomic announcements. First, a large proportion of the total equity premium is realized on days with macroeconomic announcements, despite the small number of such days. Second, the relation...

Persistent link: https://www.econbiz.de/10012923718

Risk Preferences and the Macro Announcement Premium

Ai, Hengjie - 2016

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...

Persistent link: https://www.econbiz.de/10012984765

Premium for Heightened Uncertainty : Explaining Pre-Announcement Market Returns

Hu, Grace Xing - 2019

We show that the pattern of positive pre-announcement market drift is present not only for FOMC announcements, as documented by Lucca and Moench (2015), but also for other major macroeconomic announcements such as Nonfarm Payroll, ISM and GDP. This commonality in pre-announcement returns leads...

Persistent link: https://www.econbiz.de/10012870731

Joblessness and Perceptions About the Effectiveness of Democracy

Altindag, Duha Tore - 2010

individuals and the prevailing unemployment rate in the country impact perceptions of the effectiveness of democracy. We find that … system of governance are also shaped by the unemployment rate in countries with low levels of democracy. The results suggest … that periods of high unemployment and joblessness could hinder the development of democracy or threaten its existence …

Persistent link: https://www.econbiz.de/10013143456

The Macroeconomics of Specificity

Caballero, Ricardo J.; Hammour, Mohamad L. - 2021

unemployment …

Persistent link: https://www.econbiz.de/10013237014

Equilibrium Asset Prices with Undiversifiable Labor Income Risk

Weil, Philippe - 2021

In a two-period Lucas tree economy in which ex ante identical, but ex post dissimilar, agents face undiversifiable labor income risk, calibrating a (wrong) representative agent model results in overstating the equilibrium riskfree rate and in understanding the equilibrium equity premium if the...

Persistent link: https://www.econbiz.de/10013228249

Unemployment Risk and Compensating Differential in Late-Nineteenth Century New Jersey Manufacturing

Averett, Susan L.; Bodenhorn, Howard; Staisiunas, Justas - 2021

In this paper we test for the existence of compensating differentials for unemployment risk in an era before … unemployment insurance. Using information gathered from manufacturing worker surveys conducted during the 1880s in New Jersey, we … find that workers who faced higher probabilities of predictable unemployment spells received a small compensating …

Persistent link: https://www.econbiz.de/10013234925

An Optimizing Is-Lm Specification for Monetary Policy and Business Cycle Analysis

McCallum, Bennett T.; Nelson, Edward - 2021

This paper asks whether relations of the IS-LM type can sensibly be used for the aggregate demand portion of a dynamic optimizing general equilibrium model intended for analysis of issues regarding monetary policy and cyclical fluctuations. The main result is that only one change -- the addition...

Persistent link: https://www.econbiz.de/10013218718

Tests of Equilibrium Macroeconomics Using Contemporaneous Monetary Data

Boschen, John Fink; Grossman, Herschel I. - 2021

This paper uses contemporaneous monetary data to carry out econometric tests of the "equilibrium" approach to modeling the relation between monetary disturbances and macroeconomic fluctuations. The theoretical analysis introduces into an equilibrium macroeconomic model the availability of...

Persistent link: https://www.econbiz.de/10013220004